The invention provides a variable valency metal catalyzed and doped tungsten bronze Ax-MyWO3 nano-short rod particle and a preparation method thereof. The method consists of: firstly making solid colloidal tungstic acid as a tungsten source, mixing the tungsten source with an M source, an appropriate solvent and an inducing agent, adding a proper amount of a variable valency metal A salt, and carrying out thermal reaction to synthesize the variable valency metal catalyzed and doped tungsten bronze Ax-MyWO3 multifunctional nanoparticle. The synthesized Ax-MyWO3 nano-short rod particle has excellent visible light permeability and near-infrared shielding performance and photothermal conversion ability, can be widely used for preparation of glass transparent thermal insulation paint, transparent and heat insulation compounds, photothermal absorbing coatings, solar thermal collectors, solar water heater coatings, heating fiber and photothermal therapy nanoparticles, etc. At the same time, the synthesized variable valency metal catalyzed and doped tungsten bronze Ax-MyWO3 nano-short rod particle also has excellent photocatalysis ability, and can be widely applied to the photocatalytic degradation field of organic pollutants.